The Role of Multi-Family Properties in Hedging Pension Liability Risk: Long-Run Evidence

Louis Johner, Martin Hoesli and Jon Lekander

ERES from European Real Estate Society (ERES)

Abstract: Pension funds aim to hold assets that match their future liabilities. We expand extant research by considering a long period encompassing various economic regimes. Using return data for four asset classes in Sweden over a 145-year period, we investigate the out-of-sample performance of portfolios optimized using several approaches and compare them with that of a naïve allocation. We then turn to analyzing the drivers of asset allocations, in particular multi-family properties, over time. The usefulness of holding residential real estate to hedge pension liabilities is assessed. Our analyses make it possible to gauge the benefits of holding residential properties in various economic environments.

Keywords: Long-term; Multi-Family Properties; Pension fund; Portfolio Allocation (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2022-01-01
New Economics Papers: this item is included in nep-age and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:2022_232

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